I wouldn't be surprised if most states had such an exemption.
Colorado's sounds like "while legally engaged in the act of hunting."
Which I guess means during legal hours and seasons, with a license for that game, and in actual hunting areas. You can't claim you're hunting the Longhaired Tibetan Yak in Denver.
I kind of figured this was so you could keep the rain and snow off your handgun. That's what I kind of figured.
Keep in mind, though, that in general, it's not a good idea to try to "finesse" the legal system, so watch it. "Finesse," as in "Wul it dint say I couldn't do (whatever) on Sunday," that kind of thing.
Terry, 230RN